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If you want bread of a shape different that the built in baking pan then you are going to have to remove the dough from the bread machine after the kneading stage. Several bread machines have a setting (or settings) that accommodate this function. For instance these instructions from a popular Oster bread maker:

Dough Instructions
1 Put ingredients in bread pan and put the bread pan into the breadmaker.
2 Press the “Menu Select” button to choose either the dough or bagel dough setting
(if making bagel dough).
3 Press the “Start/Stop” button. The display will begin counting down the time on the Dough setting.
When dough is ready, the unit will signal and the display will read “0:00.”
4 Press “Start/Stop” button and hold it down until you hear a beep and the display clears.
5 To remove the bread pan, grasp the handle firmly and lift the pan out.
Note: The pan does not get hot when using the dough setting.

Preparing Dough for Baking
1 Lightly sprinkle all-purpose flour onto a pastry mat or board. Using a rubber spatula or wooden
spoon, remove dough from the bread pan and place on lightly floured surface. Knead by hand
2 or 3 times to release the air. If the dough is easy to handle without flour, shape on a lightly oiled,
clean countertop.
2 Shape dough into your favorite rolls, coffee cake, etc. (suggestions follow). Place on greased baking
pan. Cover dough with a clean cloth and let rise until almost doubled in size (about 1 hour).
3 Bake as directed in the recipe. Remove from pan and cool on a wire rack or serve warm.

(found on page 32 of this manual available online)

At this point your 'bread maker' is really nothing more than a dough mixer but that can be convenient for many recipes.